Presidential Address: Asset Price Dynamics with Slow-Moving Capital

• 成果类型: Article
• 署名作者: Duffie, Darrell
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01569.x
• 发表日期: 2010
• 页码: 1237-1267
• 关键词: DEMAND CURVES; MARKET; stocks; equilibrium; INFORMATION; liquidity; COSTS; intermediation; securities; pressure

摘要

I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward. After presenting examples of price reactions to supply shocks in normal market settings, I offer a simple illustrative model of price dynamics associated with slow-moving capital due to the presence of inattentive investors.